The Role of Seasonality and Monetary Policy in Inflation Forecasting:
Adequate modeling of the seasonal structure of consumer prices is essential for inflation forecasting. This paper suggests a new econometric approach for jointly determining inflation forecasts and monetary policy stances, particularly where seasonal fluctuations of economic activity and prices are...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2006
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 06/175 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers |
| Zusammenfassung: | Adequate modeling of the seasonal structure of consumer prices is essential for inflation forecasting. This paper suggests a new econometric approach for jointly determining inflation forecasts and monetary policy stances, particularly where seasonal fluctuations of economic activity and prices are pronounced. In an application of the framework, the paper characterizes and investigates the stability of the seasonal pattern of consumer prices in the Kyrgyz Republic and estimates optimal money growth and implied exchange rate paths along with a jointly determined inflation forecast. The approach uses two broad specifications of an augmented error-correction model-with and without seasonal components. Findings from the paper confirm empirical superiority (in terms of information content and contributions to policymaking) of augmented error-correction models of inflation over single-equation, Box-Jenkins-type general autoregressive seasonal models. Simulations of the estimated errorcorrection models yield optimal monetary policy paths for achieving inflation targets and demonstrate the empirical significance of seasonality and monetary policy in inflation forecasting |
| Beschreibung: | 1 Online-Ressource (27 p) |
| ISBN: | 1451864353 9781451864359 |
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| spelling | Kumah, Francis Y. Verfasser aut The Role of Seasonality and Monetary Policy in Inflation Forecasting Kumah, Francis Y Washington, D.C International Monetary Fund 2006 1 Online-Ressource (27 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 06/175 Adequate modeling of the seasonal structure of consumer prices is essential for inflation forecasting. This paper suggests a new econometric approach for jointly determining inflation forecasts and monetary policy stances, particularly where seasonal fluctuations of economic activity and prices are pronounced. In an application of the framework, the paper characterizes and investigates the stability of the seasonal pattern of consumer prices in the Kyrgyz Republic and estimates optimal money growth and implied exchange rate paths along with a jointly determined inflation forecast. The approach uses two broad specifications of an augmented error-correction model-with and without seasonal components. Findings from the paper confirm empirical superiority (in terms of information content and contributions to policymaking) of augmented error-correction models of inflation over single-equation, Box-Jenkins-type general autoregressive seasonal models. Simulations of the estimated errorcorrection models yield optimal monetary policy paths for achieving inflation targets and demonstrate the empirical significance of seasonality and monetary policy in inflation forecasting Online-Ausg http://elibrary.imf.org/view/IMF001/07288-9781451864359/07288-9781451864359/07288-9781451864359.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kumah, Francis Y. The Role of Seasonality and Monetary Policy in Inflation Forecasting |
| title | The Role of Seasonality and Monetary Policy in Inflation Forecasting |
| title_auth | The Role of Seasonality and Monetary Policy in Inflation Forecasting |
| title_exact_search | The Role of Seasonality and Monetary Policy in Inflation Forecasting |
| title_exact_search_txtP | The Role of Seasonality and Monetary Policy in Inflation Forecasting |
| title_full | The Role of Seasonality and Monetary Policy in Inflation Forecasting Kumah, Francis Y |
| title_fullStr | The Role of Seasonality and Monetary Policy in Inflation Forecasting Kumah, Francis Y |
| title_full_unstemmed | The Role of Seasonality and Monetary Policy in Inflation Forecasting Kumah, Francis Y |
| title_short | The Role of Seasonality and Monetary Policy in Inflation Forecasting |
| title_sort | the role of seasonality and monetary policy in inflation forecasting |
| url | http://elibrary.imf.org/view/IMF001/07288-9781451864359/07288-9781451864359/07288-9781451864359.xml |
| work_keys_str_mv | AT kumahfrancisy theroleofseasonalityandmonetarypolicyininflationforecasting |